Hello, thanks for trying out haxigniter! It could be that php is trying to create the session files in a directory that doesn't exist. According to the error it should be:
C:/Program Files/wamp/www/lib/haxigniter/application/runtime/session
If it doesn't exist, can you create it and try again? It should be auto-created when you use the build tools (build.bat/build.sh) however.
I'm only a few days from releasing a completely new version of haxigniter for haxelib, it will have less of those build issues. Stay tuned!
/Andreas